Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0071 |
| Annualized Std Dev | 0.0441 |
| Annualized Sharpe (Rf=0%) | 0.1602 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3378.0000 |
| NAs | 1.0000 |
| Minimum | -0.0390 |
| Quartile 1 | -0.0006 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0008 |
| Maximum | 0.0462 |
| SE Mean | 0.0000 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0000 |
| Stdev | 0.0028 |
| Skewness | -0.1968 |
| Kurtosis | 81.3155 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0020 |
| Gain Deviation | 0.0025 |
| Loss Deviation | 0.0027 |
| Downside Deviation (MAR=210%) | 0.0087 |
| Downside Deviation (Rf=0%) | 0.0020 |
| Downside Deviation (0%) | 0.0020 |
| Maximum Drawdown | 0.1161 |
| Historical VaR (95%) | -0.0024 |
| Historical ES (95%) | -0.0057 |
| Modified VaR (95%) | -0.0001 |
| Modified ES (95%) | -0.0001 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-03-10 | 2020-03-19 | 2020-05-20 | -0.1161 | 51 | 8 | 43 |
| 2008-03-19 | 2008-10-01 | 2008-12-23 | -0.0738 | 195 | 137 | 58 |
| 2010-09-01 | 2011-01-14 | 2011-08-16 | -0.0438 | 242 | 95 | 147 |
| 2016-08-24 | 2018-11-02 | 2019-08-05 | -0.0368 | 741 | 554 | 187 |
| 2012-02-27 | 2013-06-25 | 2016-02-05 | -0.0334 | 993 | 334 | 659 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0.1 | 0 | 0.1 |
| 2008 | -0.2 | -1.2 | 0.2 | 0 | 0 | 0 | -0.3 | -0.3 | -3.9 | -0.2 | -0.9 | 0.3 | -6.3 |
| 2009 | 0.2 | 0 | 0 | -0.3 | -0.2 | 0 | 0 | -0.3 | -0.3 | -0.2 | -0.1 | 0 | -1.1 |
| 2010 | -0.1 | 0 | 0 | 0 | -0.2 | -0.2 | 0.2 | -0.2 | -0.2 | -0.1 | -0.2 | 0.4 | -0.7 |
| 2011 | -0.1 | -0.1 | 0 | -0.1 | -0.1 | -0.2 | 0.2 | -0.4 | -0.2 | 0.2 | -0.2 | 0 | -1 |
| 2012 | 0 | -0.1 | 0 | 0 | 0 | 0 | -0.2 | 0 | -0.3 | -0.1 | 0.1 | 0.1 | -0.4 |
| 2013 | 0 | 0 | 0 | 0 | 0.1 | 0 | -0.1 | 0 | -0.1 | 0 | 0 | 0 | -0.3 |
| 2014 | 0 | 0.1 | -0.2 | -0.1 | 0.1 | 0 | 0 | 0.1 | -0.1 | 0 | -0.1 | 0.1 | 0.1 |
| 2015 | 0 | 0 | -0.2 | 0 | 0 | -0.2 | 0.2 | -0.1 | -0.1 | 0 | -0.1 | 0 | -0.5 |
| 2016 | -0.1 | 0 | -0.1 | 0 | 0 | 0 | -0.2 | -0.2 | 0 | -0.1 | 0 | 0 | -0.8 |
| 2017 | -0.1 | -0.2 | 0 | 0 | -0.1 | -0.1 | -0.1 | -0.2 | 0 | -0.1 | 0 | -0.1 | -1 |
| 2018 | -0.1 | -0.1 | 0 | -0.1 | -0.1 | 0 | -0.2 | 0.1 | 0 | -0.1 | 0.1 | 0 | -0.6 |
| 2019 | -0.1 | -0.2 | -0.1 | -0.2 | 0.1 | -0.1 | 0 | -0.1 | -0.2 | -0.1 | 0 | 0.1 | -1 |
| 2020 | -0.1 | 0 | -1.1 | 0.1 | -0.3 | -0.2 | 0 | 0 | -0.1 | -0.1 | -0.1 | 0 | -1.9 |
| 2021 | 0 | 0 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
